Working Papers

Long-Horizon Stock Valuation and Return Forecasts Conditional on Demographic Projections

We incorporate low frequency information from demographic variables into a simple predictive model to forecast stock valuations and returns conditional on demographic projections. The demographics appear to be an important determinant of stock …

Impulse response analysis for structural dynamic models with nonlinear regressors

We study the construction of nonlinear impulse responses in structural dynamic models that include nonlinearly transformed regressors. Such models have played an important role in recent years in capturing asymmetries, thresholds and other …

Conditional Inference in Nearly Cointegrated Vector Error-Correction Models with Small Signal-to-Noise

This paper studies inference in cointegrating regessions and vector error correction (VEC) models when the cointegrating errors are a nearly integrated process with a low signal-to-noise-ratio. This combination of persistent, yet low variance error …